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source:"econis"
subject:"Schätztheorie"
~isPartOf:"Journal of econometrics"
~subject:"Monte Carlo simulation"
~subject:"Volatilität"
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Schätztheorie
Monte Carlo simulation
Volatilität
Theorie
1,608
Theory
1,608
Estimation theory
368
Time series analysis
326
Zeitreihenanalyse
326
Estimation
166
Schätzung
166
Nichtparametrisches Verfahren
140
Nonparametric statistics
140
Forecasting model
128
Prognoseverfahren
128
Statistical test
128
Statistischer Test
128
Volatility
125
Regression analysis
114
Regressionsanalyse
114
Stochastic process
104
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104
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94
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81
Monte-Carlo-Simulation
75
Cointegration
72
Kointegration
72
Markov chain
71
Markov-Kette
71
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68
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8
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8
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English
537
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Chib, Siddhartha
11
Koop, Gary
7
Aït-Sahalia, Yacine
6
Gouriéroux, Christian
6
King, Maxwell L.
6
Kohn, Robert
6
Lee, Lung-fei
6
Li, Qi
6
Phillips, Peter C. B.
6
Yu, Jun
6
Bollerslev, Tim
5
Diebold, Francis X.
5
Granger, C. W. J.
5
Andersen, Torben
4
Baltagi, Badi H.
4
Chen, Songnian
4
Hallin, Marc
4
McAleer, Michael
4
Renault, Eric
4
Schmidt, Peter
4
Swanson, Norman R.
4
Tauchen, George Eugene
4
Todorov, Viktor
4
Abrevaya, Jason
3
Ali, Mukhtar M.
3
Andrews, Donald W. K.
3
Asai, Manabu
3
Barigozzi, Matteo
3
Boswijk, Herman Peter
3
Cavaliere, Giuseppe
3
Chan, Joshua
3
Christensen, Bent Jesper
3
Donald, Stephen G.
3
Franses, Philip Hans
3
Ghysels, Eric
3
Godfrey, L. G.
3
Golan, Amos
3
Gonzalo, Jesús
3
Greenberg, Edward S.
3
Griffin, Jim E.
3
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Journal of econometrics
Economics letters
494
Econometric theory
305
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
287
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
254
Working paper / National Bureau of Economic Research, Inc.
244
Econometric reviews
197
Discussion paper / Tinbergen Institute
191
Série des documents de travail / Centre de Recherche en Économie et Statistique
181
Journal of applied econometrics
178
NBER working paper series
177
NBER Working Paper
158
Journal of quantitative economics : official journal of the Indian Econometric Society
144
The review of economics and statistics
135
Journal of banking & finance
126
Journal of economic dynamics & control
125
Applied economics
122
Working paper
121
Oxford bulletin of economics and statistics
116
Discussion paper / Centre for Economic Policy Research
112
Journal of forecasting
111
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
108
International journal of forecasting
107
Discussion paper / Center for Economic Research, Tilburg University
106
Economic modelling
100
Journal of empirical finance
100
Finance research letters
98
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
97
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
90
Journal of international money and finance
89
Statistical papers
89
CORE discussion paper : DP
88
Mathematical finance : an international journal of mathematics, statistics and financial theory
88
International journal of theoretical and applied finance
85
Journal of financial economics
80
The review of financial studies
77
International economic review
76
Discussion paper series / IZA
71
SFB 649 discussion paper
70
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11
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
12
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
13
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 212-227
Persistent link: https://www.econbiz.de/10013441647
Saved in:
14
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
15
Instrument-free identification and estimation of differentiated products models using cost data
Byrne, David P.
;
Imai, Susumu
;
Jain, Neelam
;
Sarafidis, …
- In:
Journal of econometrics
228
(
2022
)
2
,
pp. 278-301
Persistent link: https://www.econbiz.de/10013441750
Saved in:
16
Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity
Norets, Andriy
;
Pelenis, Justinas
- In:
Journal of econometrics
230
(
2022
)
1
,
pp. 62-82
Persistent link: https://www.econbiz.de/10013441915
Saved in:
17
The drift burst hypothesis
Christensen, Kim
;
Oomen, Roel
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 461-497
Persistent link: https://www.econbiz.de/10013442150
Saved in:
18
Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 498-505
Persistent link: https://www.econbiz.de/10013442175
Saved in:
19
Fast and accurate variational inference for models with many latent variables
Loiza-Maya, Ruben
;
Smith, Michael S.
;
Nott, David J.
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 339-362
Persistent link: https://www.econbiz.de/10013463884
Saved in:
20
The continuous-time limit of score-driven volatility models
Buccheri, Giuseppe
;
Corsi, Fulvio
;
Flandoli, Franco
; …
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 655-675
Persistent link: https://www.econbiz.de/10012619254
Saved in:
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